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Tile test for back-testing risk evaluation

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  • Gilles Zumbach

Abstract

Different tilings allow the checking of the dynamic and distributional aspects of risk estimations with regard to their subtle mean reversion effects

Suggested Citation

  • Gilles Zumbach, 2021. "Tile test for back-testing risk evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 21(10), pages 1605-1619, October.
    • Handle: RePEc:taf:quantf:v:21:y:2021:i:10:p:1605-1619
    DOI: 10.1080/14697688.2021.1910724
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    Cited by:

    1. Boris David & Gilles Zumbach, 2022. "Multivariate backtests and copulas for risk evaluation," Papers 2206.03896, arXiv.org, revised Nov 2023.
    2. Gilles Zumbach, 2021. "On the short term stability of financial ARCH price processes," Papers 2107.06758, arXiv.org.

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